Hi,
the only magic thing here is how I figured out what you meant to ask. Please take your time to explain your problem in a simple and clear way next time, or the chances to be simply ignored will skyrocket.
Let's recap. You want to send a packet to a link-local multicast address.
You have a socket opened, it's an UDP socket and it is connected (!) to a global address (hopefully, it's not guaranteed).
Now, you have to understand two main things:
1) UDP is a connectionless protocol. The "Connect" function is there just as a nice shortcut to allow to use a simpler "Send". Consider it a shortcut - you instruct the UDP socket to send the packets to a given address unless stated otherwise (by using SendTo).
2) Link-local address are valid for all the interfaces. Any interface will have a link-local address.
Point 2 in particular is relevant for you. If you send a packet to a link-local address (any link-local address, multicast or unicast), the routing protocol is NOT able to decide what is the best interface to send the packet to. As a consequence, in order to send a packet to a link-local address, you MUST use a socket previously bound to a specific interface, i.e., you must use BindToNetDevice.
The only thing I can agree on is that the error message is a bit cryptic, we'll improve it.
Have fun,
T.